DIA Options History — April 2007

In April 2007, DIA traded between $123.65 and $131.23. ATM implied volatility averaged 10.2%. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.7% (HV 20d: 8.5%). Max pain ranged from $123.00 to $129.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.73.

Notable Days

  • 2007-04-20: Highest Volume — 117,893 contracts
  • 2007-04-23: Largest IV spike — 12.2% change
  • 2007-04-30: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.50$123.65$131.23$123.65$130.67
Max Pain$125.55$123.00$129.00$123.00$129.00
ATM IV10.2%9.0%11.3%11.3%11.3%
Expected Move3.0%2.7%3.3%3.2%3.3%
HV 20d8.5%6.5%11.2%11.2%7.1%
HV 60d12.0%11.9%12.2%11.9%12.1%
Term Structure0.6%0.0%1.3%0.7%0.2%
VWIV10.9%9.6%12.8%11.4%11.7%
Skew 25d3.7%2.9%4.6%4.1%3.6%
Skew 10d7.7%6.7%9.1%7.9%7.7%
Call IV 25d8.7%7.9%10.1%9.7%10.1%
Put IV 25d12.4%11.2%13.8%13.8%13.7%
Bid-Ask Spread %7.364.899.737.208.67
Gamma HHI0.070.060.110.070.07
Net GEX45.2M-36.4M163.2M-33.0M-26.3M
Net DEX-2.71B-3.55B-1.37B-1.37B-2.92B
Net VEX-20.6M-22.5M-19.5M-21.2M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.823.210.912.29
Total Volume64,419.6531,951117,89331,95184,794
Total OI1,191,953.91,084,4941,319,0421,084,4941,258,911

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$123.65$123.0011.3%3.2%11.2%0.0%11.4%4.1%0.7%-33.0M-1.37B-21.2M0.917.2016,74215,209485,570598,924
2007-04-03$124.99$123.0010.2%2.9%10.7%0.0%10.4%3.3%1.0%13.8M-2.01B-20.6M1.387.4229,81941,278491,447600,970
2007-04-04$125.18$124.0010.0%2.9%10.7%0.0%10.9%3.2%1.0%14.0M-2.06B-21.4M2.144.8914,18030,276504,218620,218
2007-04-05$125.46$124.009.8%2.8%10.5%0.0%9.9%3.2%1.3%20.3M-2.21B-21.6M1.535.1816,71725,633509,327639,568
2007-04-09$125.65$124.009.5%3.1%10.5%0.0%12.8%4.4%0.0%25.1M-2.28B-20.2M3.169.169,23029,193516,227644,204
2007-04-10$125.59$124.009.0%2.9%10.5%0.0%10.8%4.4%0.7%10.0M-2.28B-20.0M1.539.7313,40720,508516,985660,687
2007-04-11$124.90$124.009.7%3.2%8.4%0.0%11.1%4.6%0.6%-36.4M-1.82B-20.7M1.427.9325,78336,577522,289669,990
2007-04-12$125.41$124.0010.7%3.1%8.3%0.0%11.2%4.5%0.6%9.1M-2.17B-20.1M2.208.8719,75343,430530,713666,570
2007-04-13$126.15$125.0010.1%2.9%8.4%0.0%10.6%4.1%0.6%45.3M-2.54B-20.1M1.217.4925,81731,238536,530682,818
2007-04-16$127.04$125.009.8%2.8%8.1%0.0%10.3%4.0%0.6%118.6M-3.16B-19.7M0.917.0239,57936,168549,743690,139
2007-04-17$127.75$125.009.6%2.8%7.7%0.0%9.6%3.3%0.6%141.7M-3.43B-19.5M0.827.7041,13533,675560,351703,131
2007-04-18$128.04$125.009.9%2.8%7.6%0.0%10.5%3.5%0.1%163.2M-3.55B-20.0M1.887.4130,45857,221576,067719,823
2007-04-19$128.23$126.0010.3%3.0%6.7%0.0%10.8%3.6%0.5%149.5M-3.53B-19.9M0.917.3942,47638,494572,378746,664
2007-04-20$129.57$126.009.4%2.7%7.4%0.0%10.4%3.8%0.8%158.5M-3.36B-20.0M1.966.9039,78078,113517,078759,911
2007-04-23$129.17$127.0010.6%3.0%7.6%0.0%10.9%3.6%0.4%33.6M-2.76B-20.9M0.955.7524,25223,115488,984612,687
2007-04-24$129.48$127.0010.9%3.1%7.4%0.0%11.3%3.4%0.3%36.6M-2.80B-21.0M1.987.6516,00931,751500,817624,415
2007-04-25$130.62$128.0010.3%2.9%7.5%0.0%11.6%3.3%0.4%42.7M-3.24B-20.6M2.146.3636,38277,741503,567639,705
2007-04-26$131.20$129.0010.5%3.0%6.5%0.0%10.9%3.3%0.4%8.2M-3.32B-20.8M1.977.3221,39042,086496,099684,655
2007-04-27$131.23$129.0010.3%2.9%6.6%0.0%10.5%2.9%0.6%9.0M-3.32B-21.7M3.217.2111,64237,342526,469710,229
2007-04-30$130.67$129.0011.3%3.3%7.1%0.0%11.7%3.6%0.2%-26.3M-2.92B-22.5M2.298.6725,74859,046530,571728,340